Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Characteristics

Characteristic Latest Prior Month Two Months Ago
Rank (1 is Worst, 20 is Best) 5 5 5
Score 8.86 12.13 8.68
Market Cap (Millions USD) 1398.93 1360.53 1135.21
Predicted Beta 2.13 2.1 2.05
Idiosyncratic Volatility 3.41 3.32 3.29

Annualized return and volatility

SMH
Annualized Return 0.0357
Annualized Std Dev 0.3388
Annualized Sharpe (Rf=0%) 0.1054

Row

Daily Return Statistics

SMH
Observations 5005.0000
NAs 109.0000
Minimum -0.0958
Quartile 1 -0.0096
Median 0.0003
Arithmetic Mean 0.0004
Geometric Mean 0.0001
Quartile 3 0.0101
Maximum 0.1646
SE Mean 0.0003
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0010
Variance 0.0005
Stdev 0.0213
Skewness 0.3947
Kurtosis 4.8471

Downside Risk

SMH
Semi Deviation 0.0148
Gain Deviation 0.0161
Loss Deviation 0.0149
Downside Deviation (MAR=210%) 0.0193
Downside Deviation (Rf=0%) 0.0146
Downside Deviation (0%) 0.0146
Maximum Drawdown 0.8461
Historical VaR (95%) -0.0338
Historical ES (95%) -0.0492
Modified VaR (95%) -0.0302
Modified ES (95%) -0.0368
From Trough To Depth Length To Trough Recovery
2000-06-22 2008-11-20 2017-03-16 -0.8461 4282 2155 2127
2018-03-13 2018-12-24 2019-04-03 -0.2702 272 203 69
2019-04-25 2019-06-03 2019-07-23 -0.1796 63 28 35
2018-01-24 2018-02-08 2018-03-06 -0.1223 29 12 17
2019-07-25 2019-08-05 2019-10-15 -0.1218 59 8 51

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec SMH
1999 NA NA NA NA NA NA NA NA NA NA NA NA NA
2000 NA NA NA NA NA 0.0 -3.3 -0.8 0.0 -3.6 -0.8 0.0 -8.3
2001 -0.6 6.6 0.0 1.3 3.5 0.0 5.6 0.0 -2.0 6.4 0.0 0.0 22.1
2002 -1.1 9.7 2.6 0.4 0.0 -4.5 -6.4 0.0 5.4 5.3 0.0 0.0 11.0
2003 0.0 0.0 1.0 0.3 0.0 2.5 0.8 0.0 2.0 0.0 0.6 0.0 7.4
2004 0.0 2.3 1.6 0.0 -1.2 -3.8 0.0 0.8 4.8 0.7 3.8 0.0 9.1
2005 1.6 2.4 -1.4 0.0 0.6 0.4 -0.3 -1.1 0.0 -0.7 3.7 0.0 5.1
2006 2.4 4.1 0.0 -1.3 1.7 0.0 -2.7 -0.7 0.0 -2.1 -1.5 0.0 -0.4
2007 0.8 -0.9 0.0 0.7 0.7 0.0 0.4 0.0 1.6 -1.6 0.0 0.0 1.8
2008 7.4 0.0 3.5 3.5 0.0 -0.8 -0.2 0.0 -1.8 0.0 -6.6 0.0 4.4
2009 0.0 0.0 0.2 -0.4 5.1 1.4 0.0 -2.4 -4.0 0.0 2.9 0.0 2.6
2010 2.2 2.4 0.2 0.0 -1.7 -0.4 0.0 3.0 0.0 0.2 2.7 0.0 8.8
2011 2.5 -1.6 -1.5 0.0 -3.1 2.0 0.0 -1.4 0.0 -2.9 0.4 0.0 -5.5
2012 1.6 0.0 0.0 0.4 -3.7 0.0 0.0 0.0 0.0 3.0 0.0 0.0 1.2
2013 2.0 0.0 -1.6 -0.4 0.0 -0.3 1.2 0.0 1.0 -0.6 0.0 0.0 1.4
2014 0.0 0.0 1.5 -0.7 0.0 1.6 0.3 0.0 -2.2 0.0 -1.2 0.0 -0.7
2015 0.0 0.0 -1.0 2.8 -0.4 0.4 0.0 -3.1 -0.7 0.0 1.2 0.0 -0.8
2016 0.4 3.1 0.5 0.0 0.4 -0.7 0.3 0.9 0.0 -0.9 -4.8 0.0 -1.0
2017 1.0 1.2 0.0 1.0 0.2 0.0 0.4 0.5 0.0 -0.3 -0.9 0.0 3.2
2018 -0.6 -1.6 0.0 1.6 2.2 0.0 0.4 0.0 0.3 4.8 0.0 0.0 7.2
2019 1.3 0.9 2.5 -0.8 0.0 2.8 -2.0 0.0 -0.7 2.1 0.0 0.2 6.4

Row

Rolling Performance Chart

Snail Trail Chart